Janus Henderson Upside Maximization Protocol Indices (JUMP)

DESIGNED TO MAXIMIZE POTENTIAL RETURNS FOR BUYERS OF PRINCIPAL PROTECTED PRODUCTS.

The Janus Henderson Upside Maximization Protocol Indices (JUMP) seek to minimize exposure to downside volatility while maximizing exposure to upside risk when utilized in connection with principal protected products.

The JUMP proprietary methodology follows a three-step process:

  • First, stock selection for downside mitigation. Quarterly, out of a 500-stock universe, JUMP selects 100 large cap stocks with the lowest downside volatility over the prior year and then weights them inversely to their downside volatility. This means those stocks that have exhibited the least downside risk, will have the highest weight.
  • Second, a Volatility Control Mechanism for stabilizing returns. On a daily basis, JUMP applies a Volatility Control Mechanism to target a 15% annual volatility. This Volatility Control Mechanism increases overall exposure to equities when markets are calm, and reduces exposure when markets are exhibiting greater risk.
  • Third, JUMP applies a Participation Enhancement Process. This monthly process is called the JUMP Barrier, and it ignores positive returns of below the 2% barrier, while crediting the full value of returns which are above the JUMP Barrier. By only crediting larger monthly returns, and ignoring smaller returns, the index creates a profile that seeks to maximize the exposure to large market events. The JUMP Barrier is applied to the index using daily dollar cost averaging with the aim to create smoother index returns.

HOW IT WORKS

1

Stock Selection for Downside Mitigation

2

Volatility Control Mechanism for Stabilizing Returns

3

Participation Enhancement Process

Historical Performance (As of 07/28/2021)

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Cumulative Return (%) Annualized Return (%) Max Drawdown Volatility Downside Volatility Sharpe Ratio Sortino Ratio
Statistics are not provided for periods less than 1 year.
Any data for the period prior to index inception consists of pre-inception data calculated by retroactively applying the index methodology. Simulated returns and pre-inception data are hypothetical and included for illustrative purposes only.

Index Performance (As of 07/27/2021)

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1 month 3 month 6 month YTD 1 year 3 year 5 year 10 year Since inception date
(12/31/2019)
Total return (%) 5.86 6.16 12.26 14.76 22.24 11.36 13.88 14.28 13.90
Excess return (%) relative to the S&P 500 Composite TR USD 2.94 -9.70 -5.94 -3.37 -15.75 -6.80 -3.56 -0.96 -4.52
Returns greater than one year are annualized.
A comparison benchmark is provided for information purposes only to represent the market environment existing during the periods shown.
Any data for the period prior to index inception consists of pre-inception data calculated by retroactively applying the index methodology. Simulated returns and pre-inception data are hypothetical and included for illustrative purposes only.

Historical Sector Weights (As of 07/28/2021)

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Displays the historical weights of each GICS sector in the index, at the index quarterly rebalance

Index Facts (As of 07/28/2021)

Daily Level 8,751.80 (As of 07/28/2021)
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Ticker JUMPID Index
Base Date 01/31/2000
Inception Date 12/31/2019
Number of Components 100
Eligible Universe Solactive US Large Cap Index
Rebalancing Frequency Multiple
Publishing Frequency Daily
Weighting Methodology Proprietary Weighting Methodology
Past performance is no guarantee of future results.
There is no assurance that the proprietary rules-based index methodology will select securities that individually, or in the aggregate, outperform the applicable broader market universe.
Index performance does not reflect the expenses of managing a portfolio as an index is unmanaged and not available for direct investment. The performance of any index herein is not illustrative of the performance of any security.
Any index performance prior to the index inception date is pre-inception data and is hypothetical. Pre-inception data is based on criteria applied retroactively with the benefit of hindsight and knowledge of factors that may have positively affected its performance, and cannot account for all financial risk that may affect the actual performance of any trading strategy based on the applicable index. Simulated index returns (including pre-inception data) that have been produced by the retroactive application of a back-tested methodology may reflect a bias toward strategies that have performed well in the past. Any pre-inception data was produced by the index sponsor, Janus Henderson Indices LLC. The index methodologies are available above. Actual index performance may vary significantly from pre-inception data.
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